Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market

By Xavier Gabaix, Arvind Krishnamurthy, Olivier Vigneron. 2007

286 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0f660b08c3ec29ec284a01056d84396cf1fce086

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Citations in the corpus

Uncertainty Shocks and Balance Sheet Recessions (2017, background): “This mechanism is similar to the one in Holmstrom and Tirole [1996]. The limited commitment on the consumers’ side is only binding, however, when experts as a whole need fresh cash infusions from consumers.”
Risk and Return in Fixed Income Arbitrage: Nickels in front of a Steamroller? (2006, unknown): “For a discussion of the role of OAS in the MBS market, see Gabaix, Krishnamurthy, and Vigneron (2004).”
Demand-Based Option Pricing (2009, background): “Greenwood (2005) considers a major redefinition of the Nikkei 225 index in Japan and finds that stocks that are not affected by demand shocks, but that are correlated with securities facing demand shocks, experience price changes.”
Groupthink: Collective Delusions in Organizations and Markets (2013, unknown): “Gabaix et al. (2007) provide specific evidence of limits to arbitrage in the market for mortgage-backed securities. 56Reilly (2007) reports that only 36% of Lehman Brothers’ 2007-QII balance sheet and 18% of Bear”
Intermediary Asset Pricing: New Evidence from Many Asset Classes (2017, background): “4Examples include Froot and O’Connell (1999), Gabaix et al. (2007), Mitchell et al.”
Intermediary Asset Pricing (2013, background): “…spread ( AAA bonds minus Treasuries , the spread on Federal National Mortgage Association ( FNMA ) mortgage-backed securities relative to Treasuries, and the option-adjusted spread on volatile interest-only mortgage derivative securities ( data are from Gabaix, Krishnamurthy, and Vigneron 2007 .”
A Preferred-Habitat Model of the Term Structure of Interest Rates (2009, unknown): “Pavlova and Rigobon (2005), style arises because of portfolio constraints, and can be the source of international flnancial contagion.4 Gabaix, Krishnamurthy and Vigneron (2007) assume that the”
A Preferred‐Habitat Model of the Term Structure of Interest Rates (2021, unknown): “…Shleifer (2003) and Vayanos and Woolley (2013) on style investing, momentum, and reversal, Greenwood (2005) and Hau (2011) on index redefinitions, Gabaix, Krishnamurthy, and Vigneron (2007) on mortgage-backed securities, Garleanu, Pedersen, and Poteshman (2009) on options, and Gabaix and…”